A closed-form solution for options with stochastic volatility with applications to bond and currency options (1993)

by Steven L. Heston
Venue:Review of Financial Studies
Citations:699 - 4 self

Active Bibliography

59 Testing Option Pricing Models – David S. Bates
5 Pricing stock options under stochastic volatility and stochastic interest rates with efficient method . . . – George J. Jiang, Pieter J. van der Sluis - 1998
3 Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates – J. Jiang, Pieter J. van der Sluis, George J. Jiang - 2000
Les organisations-partenaires / The Partner Organizations – Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès, Octobre Cirano, École Des Hautes Études Commerciales
17 The Risk Premium of Volatility Implicit in Currency Options – Dajiang Guo, Centre Risk Advisors - 1998
213 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
32 Continuous-time methods in finance: A review and an assessment – Suresh M. Sundaresan - 2000
33 A Closed-Form GARCH Option Pricing Model – Steven L. Heston, Saikat Nandi - 1999
Financial regime-switching vector auto-regression – Mark S. Tenney - 2005
6 The Predictive Power of Implied Stochastic Variance from Currency Options – Dajiang Guo, David Bates, Charles Cao, Jin-chuan Duan, Robert Engle, Alfred Haug, Walid Hejazi, John Hull, Raymond Kan, George Kirikos, Hans-jurgen Knoch, Gary Koop, Chenghu Ma, Steve Mo, Qi Li, John Parkinson, Graham Pugh, Ken Vetzal, Tan Wang, Ralph Winter, Participants At - 1996
6 Stochastic Volatility – David G. Hobson - 1996
Intertemporal Asset Pricing Theory – Darrell Duffie - 2002
Discussion – Jason Wei
THE VOLATILITY PROCESS: A STUDY OF STOCK MARKET DYNAMICS VIA PARAMETRIC STOCHASTIC VOLATILITY MODELS AND A COMPARISON TO THE INFORMATION EMBEDDED IN THE OPTIONS PRICE – De Paris, Collège Doctoral, M. Lane, M. Marco, M. Piotr, Karasinski Examinateur, M. Bernard, Lapeyre Examinateur, M. Yves, Rouchaleau Examinateur Acknowledgments, Peter Carr, Espen Haug, Ali Hirsa, Simon Julier, Alan Lewis, Dilip Madan, Youssef R, Paul Wilmott, David Wong
Overstatement of Implied Variance in the Dollar/Yen Currency Option Market – Dajiang Guo, First Canadian Place, James Pes, Alan White, Xiaodong Zhu I Also, Thank Werner Antweiler, David Bates, Charles Cao, Jin-chuan Duan, Robert Engle, Walid Hejazi, Steve Heston, Raymond Kan, Hans-jurgen Knoch, Gary Koop, Chenghu Ma, Steve Mo, Leo Michelis, Qi Li, John Parkinson, Graham Pugh, Ken Vetzal, Tan Wang, Ralph Winter - 1996
Review of Option Pricing under Stochastic Volatility and Lévy Processes – James Latimer Taylor - 2004
197 The Variance Gamma Process and Option Pricing. – Dilip B. Madan, Peter Carr, Eric C. Chang - 1998
Key words: Discrete Asian Options, Homogeneity, Crank-Nicholson, Non proportional – Eric Benhamou Y, Re Duguet Z, Dividends Smile
2 Option pricing with Levy Process – Eric Benhamou